The Analysis Of Time-varying Integration Between Shanghai A-Share And International Capital Market Based On The MVGARCH-BEKK (1, 1) Model

In the international capital assets pricing models,they usually assume the markets are completely integrated or segmented.Although these models have obtained many important conclusions,but the relevant conclusions of these models are mainly depend on the degree of market integration.Therefore,it is necessary to measure the degree of financial market integration so as to price assets correctly.We use a measure of capital market integration arising from a conditional regime-switching model proposed by G.bekaert and R.Harvey,and apply it to measure the dynamical degree of integration between Shanghai A-Share and International Capital Market.Then we estimate this model by GARCH-BEKK(1,1).Empirical results show that the coefficient of integration can truly reflect the co-movement between the Shanghai A-Share and International Capital Market;On the other hand it can effectively represent the degree of the financial market's openness.In addition,this paper also for do some quantitatively analysis about the relationship between international speculative capital and integration coefficient,the results showed that the international speculative capital inflows will cause the change of integration coefficient.